Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.1 +1.0%
- DJIA Intraday % Swing .36% -25.4%
- Bloomberg Global Risk On/Risk Off Index 58.5 +1.7%
- Euro/Yen Carry Return Index 166.1 -2.3%
- Emerging Markets Currency Volatility(VXY) 8.0 +.6%
- CBOE S&P 500 Implied Correlation Index 21.0 -2.0%
- ISE Sentiment Index 156.0 +10.0
- Total Put/Call .97 +11.5%
- NYSE Arms 1.24 +5.1%
- NYSE Non-Block Money Flow +$141.4M
Credit Investor Angst:
- North American Investment Grade CDS Index 62.4 -.9%
- US Energy High-Yield OAS 360.1 +1.4%
- Bloomberg TRACE # Distressed Bonds Traded 382 +18.0
- European Financial Sector CDS Index 76.2 +.08%
- Deutsche Bank Subordinated 5Y Credit Default Swap 231.42 +.03%
- Italian/German 10Y Yld Spread 175.0 basis points +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 100.3 +.2%
- Emerging Market CDS Index 185.4 -.74%
- Israel Sovereign CDS 113.0 -1.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 25.6 +.43%
- 2-Year SOFR Swap Spread -19.75 basis points -1.0 basis point
- TED Spread 25.25 basis points +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -9.5 +.25 basis point
- MBS 5/10 Treasury Spread 150.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 952.0 +3.0 basis points
- Avg. Auto ABS OAS 85.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 41.6 +.03%
- 3-Month T-Bill Yield 5.39% -1.0 basis point
- China Iron Ore Spot 134.8 USD/Metric Tonne +.7%
- Dutch TTF Nat Gas(European benchmark) 40.0 euros/megawatt-hour +1.7%
- Citi US Economic Surprise Index 11.7 -.5 point
- Citi Eurozone Economic Surprise Index -21.2 -.6 point
- Citi Emerging Markets Economic Surprise Index 26.9 +1.8 points
- S&P 500 Current Quarter EPS Growth Rate YoY(495 of 500 reporting) +4.4% -.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 242.43 +.04: Growth Rate +9.5% unch., P/E 18.9 unch.
- S&P 500 Current Year Estimated Profit Margin 12.12% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +50.6% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 285.51 +.14: Growth Rate +34.3% +.4 percentage point, P/E 28.8 +.2
- Bloomberg US Financial Conditions Index .53 +2.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .27 +2.0 basis points
- US Yield Curve -45.5 basis points (2s/10s) +3.25 basis points
- US Atlanta Fed 4Q GDPNow Forecast +1.25% -2.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 57.8% +.1 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +3.46% unch.: CPI YoY +3.04% unch.
- 10-Year TIPS Spread 2.17 +2.0 basis points
- Highest target rate probability for Jan. 31st FOMC meeting: 81.7%(-5.1 percentage points) chance of 5.25%-5.5%. Highest target rate probability for March 20th meeting: 52.8%(-1.2 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -468 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating +52 open in Germany
Portfolio:
- Higher: On gains in my transport/industrial/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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